Bolsas y Mercados Españoles (BME) has created new strategy indices on the IBEX 35® index based on IBEX 35® index derivatives (futures and options).

Two implicit volatility indices that provide valuable information for market participants are calculated, as well as other indices that replicate classic option strategies such as Covered Call or Protective Put are calculated with the objective of creating a benchmark against which managers that incorporate this type of strategies can measure their performance. These strategy indices already exist for other international indices. Additionally, indices that do not exist in other markets such as Short Strangle have also been introduced.

The proliferation of Smart Beta indexes, which seek to passively replicate classic active management strategies such as maximizing or minimizing certain factors in a portfolio (volatility, dividends, etc.), makes these low volatility and superior return in respect to the underlying indices very useful tools to achieve an added value in management (alpha), differentiating from other types of strategies.

The new indices, calculated and disseminated at the close of the market, are:

• The IBEX 35® BUYWRITE index, which replicates a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and sold in a Call option on the IBEX 35®

• The IBEX 35® PUTWRITE index is designed to replicate a hypothetical strategy consisting of being systematically sold in a Put option with the IBEX 35® as underlying

• The IBEX 35® PROTECTIVE PUT index is created to replicate a hypothetical strategy consisting of being systematically bought in an IBEX 35® Futures and bought in a Put option on the IBEX 35®

• The IBEX 35® SHORT STRANGLE index aims to replicate a hypothetical strategy by being systematically sold in a Call option and simultaneously sold in a Put option with the IBEX 35® as underlying

• The VIBEX® index is intended to reflect changes in the listed implicit volatility of Options on the IBEX 35® in the MEFF exchange, with a constant 30 days expiry.

• The IBEX 35® SKEW Index shows the trend of the volatility skew in the IBEX 35® options and serves as a market risk indicator

These new instruments provide investors with a wide range of investment strategies and more information on market volatility.